OXY Options History — October 2012

In October 2012, OXY traded between $75.78 and $82.90. ATM implied volatility averaged 26.5%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.5% (HV 20d: 22.1%). Max pain ranged from $57.58 to $83.97. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2012-10-25: Highest Volume — 37,057 contracts
2012-10-04: Largest IV drop — 22.8% change
2012-10-31: Highest IV Rank — 48.1%
2012-10-09: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.79	$75.78	$82.90	$82.90	$75.78
Max Pain	$66.04	$57.58	$83.97	$83.97	$62.38
ATM IV	26.5%	20.9%	32.0%	25.2%	32.0%
Expected Move	7.6%	6.8%	8.3%	6.8%	7.6%
HV 20d	22.1%	16.4%	27.2%	27.2%	23.6%
HV 60d	24.8%	23.1%	25.5%	25.4%	23.1%
IV Rank	28.2%	10.8%	48.1%	15.9%	48.1%
IV Percentile	34.8%	1.6%	70.6%	23.4%	70.6%
Term Structure	0.0%	-1.5%	3.6%	2.6%	-0.3%
VWIV	26.9%	24.8%	28.8%	25.3%	27.1%
Skew 25d	4.0%	2.6%	5.2%	4.1%	2.6%
Skew 10d	8.5%	4.8%	11.2%	8.8%	4.8%
Call IV 25d	25.2%	22.2%	27.4%	22.8%	26.4%
Put IV 25d	29.2%	25.4%	31.8%	27.0%	29.1%
Bid-Ask Spread %	7.09	4.48	11.55	5.45	11.55
Gamma HHI	0.13	0.09	0.40	0.10	0.11
Net GEX	-3.5M	-10.2M	31.4M	2.6M	-7.9M
Net DEX	-129.9M	-276.7M	35.1M	-276.7M	35.1M
Net VEX	-2.0M	-2.2M	-1.8M	-2.2M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.41	1.70	1.35	1.05
Total Volume	13,299.333	5,454	37,057	5,454	18,251
Total OI	278,608.476	263,571	292,450	266,454	288,028

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-10-01	$82.90	$83.97	25.2%	6.8%	27.2%	15.9%	25.3%	4.1%	2.6%	2.6M	-276.7M	-2.2M	1.35	5.45	N/A	N/A	2,321	3,133	142,465	123,989
2012-10-02	$81.72	$83.97	27.3%	7.1%	26.4%	20.4%	26.4%	4.0%	2.5%	-547.7K	-210.4M	-2.2M	0.71	4.75	N/A	N/A	4,863	3,471	143,581	125,951
2012-10-03	$80.31	$81.57	30.5%	7.3%	27.1%	33.2%	24.8%	3.8%	2.4%	-4.2M	-147.0M	-2.1M	0.77	4.48	N/A	N/A	5,475	4,191	144,656	127,755
2012-10-04	$81.95	$81.57	23.6%	6.8%	27.2%	18.0%	25.0%	3.2%	3.6%	143.0K	-236.3M	-2.2M	0.50	4.65	N/A	N/A	9,947	5,005	145,983	129,910
2012-10-05	$81.58	$57.58	20.9%	7.8%	24.3%	10.8%	26.2%	5.1%	-0.3%	31.4M	-228.1M	-2.2M	0.56	6.88	N/A	N/A	6,094	3,404	150,195	132,615
2012-10-08	$80.81	$62.38	24.3%	7.8%	24.3%	22.3%	27.3%	5.0%	-0.7%	-3.4M	-173.8M	-2.1M	1.70	6.02	N/A	N/A	2,855	4,853	145,746	129,824
2012-10-09	$80.05	$62.38	26.6%	8.3%	24.5%	29.8%	28.3%	5.2%	-1.5%	-5.7M	-134.6M	-2.0M	0.84	7.51	N/A	N/A	4,231	3,541	145,970	132,207
2012-10-10	$78.91	$62.38	24.2%	8.2%	24.7%	21.9%	27.5%	5.0%	-1.0%	-8.8M	-72.0M	-1.9M	0.41	5.66	N/A	N/A	5,911	2,405	146,582	133,669
2012-10-11	$79.29	$62.38	28.4%	8.1%	19.0%	36.0%	27.8%	4.7%	-1.0%	-7.9M	-97.3M	-1.9M	0.99	6.36	N/A	N/A	2,986	2,946	148,567	134,212
2012-10-12	$78.63	$62.38	27.9%	8.0%	17.3%	34.5%	27.6%	5.2%	-0.9%	-8.0M	-49.4M	-1.9M	1.09	5.85	N/A	N/A	4,746	5,154	148,755	134,209
2012-10-15	$78.41	$62.38	27.8%	8.0%	16.4%	33.9%	28.2%	4.4%	-1.2%	-10.2M	-49.4M	-1.8M	0.79	4.80	N/A	N/A	6,236	4,915	146,322	133,510
2012-10-16	$79.82	$62.38	26.3%	7.5%	18.2%	29.0%	26.9%	4.1%	-0.3%	-6.5M	-118.8M	-1.8M	0.74	7.16	N/A	N/A	10,870	8,002	148,046	134,143
2012-10-17	$81.19	$62.38	24.7%	7.1%	18.5%	23.5%	25.7%	3.5%	0.1%	-2.6M	-204.1M	-1.9M	1.06	7.85	N/A	N/A	5,040	5,358	150,254	135,978
2012-10-18	$82.07	$62.38	25.7%	7.4%	19.0%	26.9%	26.2%	3.7%	-0.2%	-2.9M	-247.8M	-1.9M	0.78	7.93	N/A	N/A	14,028	10,872	147,602	135,999
2012-10-19	$80.95	$62.38	25.9%	7.4%	19.5%	27.5%	27.1%	3.9%	-0.3%	-6.6M	-165.4M	-1.9M	1.00	7.58	N/A	N/A	6,072	6,044	150,335	142,115
2012-10-22	$79.47	$62.38	26.6%	7.6%	20.3%	29.9%	26.9%	3.1%	-0.3%	-5.4M	-118.3M	-1.8M	1.09	8.32	N/A	N/A	4,558	4,973	135,354	128,217
2012-10-23	$78.00	$62.38	28.1%	8.1%	20.5%	35.1%	28.8%	3.3%	-1.2%	-7.1M	-59.6M	-1.8M	1.38	7.89	N/A	N/A	4,030	5,543	137,271	131,040
2012-10-24	$77.43	$62.38	28.2%	8.1%	20.5%	35.4%	27.4%	4.1%	-0.8%	-8.4M	-24.0M	-1.8M	0.62	9.63	N/A	N/A	11,918	7,399	137,852	133,074
2012-10-25	$79.19	$62.38	26.0%	7.4%	21.6%	27.9%	26.3%	3.2%	-0.3%	-5.3M	-110.2M	-1.9M	0.63	8.76	N/A	N/A	22,697	14,360	141,757	136,188
2012-10-26	$77.20	$62.38	27.3%	7.7%	23.1%	32.4%	27.0%	3.5%	0.1%	-5.2M	-40.8M	-1.9M	0.83	9.82	N/A	N/A	11,257	9,331	149,098	141,754
2012-10-31	$75.78	$62.38	32.0%	7.6%	23.6%	48.1%	27.1%	2.6%	-0.3%	-7.9M	35.1M	-1.8M	1.05	11.55	N/A	N/A	8,882	9,369	145,815	142,213